The "Gay Gordons" refers to the Gordon Highlanders regiment which was formed in 1881 by the merging of 2 other regiments, and "gay" in this context of course means bright, strong, happy but not the modern meaning! The dance was invented late 19th Century, and is usually played to 2/4 and/ or 4/4 marches, but a lot of Scottish ceilidh bands like to give the dance an extra kick by switching to a dotted 6/8 march halfway through, such as "Cock o' the North" - the regimental march of The Gordon Highlanders. (And yes, it was a dotted 6/8 march originally, before it got turned into a 6/8 jig, along with other 6/8 marches such as Atholl Highlanders.)
We've got more sense than to let it fall out of favour, especially with all that history behind it: very often the first dance of any ceilidh in Scotland, and expected to be so.

I also remember (now thread drifting) one of the songs Hamish Imlach used to sing (think he wrote it?) : "I was a gay spark in my time" - again meaning happy, carefree.